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The Effect of Exchange Rate Uncertainty on Import with TARCH Approach | ||
International Journal of Management and Business Research | ||
مقاله 4، دوره 1، شماره 4، دی 2011، صفحه 211-220 اصل مقاله (187.57 K) | ||
نوع مقاله: Review Paper | ||
نویسندگان | ||
Teimour Mohammadi1؛ Mehdi Taghavi1؛ Abolghasem Bandidarian 2 | ||
1Department of Economics, School of Management and Economics, Science and Research Branch, Islamic Azad University (IAU), Tehran, Iran | ||
2Department of Business Management, School of Management and Economics, Science and Research Branch, Islamic Azad University (IAU), Tehran, Iran | ||
چکیده | ||
This paper investigates the effect of exchange rate uncertainty on the Iran’s import trade. The exchange rate uncertainty series were generated utilizing the TARCH model. This model analyzes the asymmetric effects. The analysis of uncertainty and asymmetry of the exchange rate shows significant TARCH effect on Iran’s exchange rates. The findings of the study indicate negative shocks (bad news) had greater impact on volatility during the period. In the next stage imports demand function is estimated. There was a long run relationship among, real import demand, real national income, real exchange rate and uncertainty of real exchange rate. Results show significant and negative impact of exchange rate uncertainty on Iran’s imports, and import demand is positively affected by real national income. Furthermore significant and negative impact of real exchange rate on Iran’s real imports is found. | ||
کلیدواژهها | ||
Uncertainty؛ real exchange rate؛ Real national income؛ Real import؛ TARCH | ||
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